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1.
David C. Porter Yusif Simaan Daniel G. Weaver David K. Whitcomb 《Review of Quantitative Finance and Accounting》2006,26(2):87-103
We examine the introduction of the Actual Size Rule (ASR) on Nasdaq during a control period and a period of market stress.
We find that market makers in both ASR and Non-ASR stocks reduce quotation sizes and widen spreads when under stress but the
reduction of quotation size and increase in spread width are significantly larger for ASR stocks. We also examine October
27, when the market was under the most severe stress. We find ASR and Non-ASR stocks have similar reductions in time-weighted
quotation ask size when compared with the control sample but ASR bid sizes are about 10% smaller than Non-ASR bid sizes. Our
findings imply that the ASR rule may significantly reduce market quality under times of market stress.
JEL Classification: 14, G15, G18 相似文献
2.
做市商制度的利弊分析 总被引:2,自引:0,他引:2
做市商制度在美国NASDAQ市场的成功引起了各国的关注,有关的讨论十分激烈,本分析了做市商制度的利弊,并结合中国实际指出,该制度不适合中国的创业板市场。 相似文献
3.
基于市场微观制度视角,以证券市场微观结构理论为基础,比较了中美两国创业板市场上市规则、交易制度及退市制度。经过对比分析发现,我国创业板市场基本运行制度尚不成熟,在市场分层、灵活上市以及严格退市制度等方面仍需进一步改进和完善,同时应注重培养中小机构投资者,适时适度引入做市商制度,建立主板与创业板市场间转板机制。 相似文献
4.
王皓 《北京市经济管理干部学院学报》2007,22(4):10-15
北京市企业,尤其是中关村高科技园区的高新技术企业,是纳斯达克中国军团的主力,一批龙头企业整合和利用国际资源实现跨越式发展。本文对北京市高新技术企业在纳斯达克市场的基本情况、主要动机、面临问题和政策建议等几个方面作了全面评述。 相似文献
5.
6.
伴随着美国经济的发展步伐,NASDAQ于1971年正式运行:20世纪90年代达到鼎盛;进入21世纪,NASDAQ股指连续两次大幅下跌,昔日风光不再。鉴于美国当前的经济现实,NASDAQ要复兴,尚需时日。 相似文献
7.
Van T. Nguyen Bonnie F. Van Ness Robert A. Van Ness 《Journal of Economics and Business》2005,57(6):157
Archipelago began reporting trades and quotes to the Pacific Stock Exchange in 2002 for NYSE-listed securities and in 2003 for NASDAQ-listed securities. These events mark the time that Archipelago began migrating stocks from its ECN platform to the exchange platform, thereby becoming a stand-alone exchange. We examine the impact of becoming a stand-alone exchange on execution quality and market share of Archipelago to gain insight into its ability to compete for order flow in NYSE and NASDAQ stocks. We find that the change has a positive effect on Archipelago's execution quality for NYSE stocks, while it has a negative effect for NASDAQ stocks. A possible explanation is that Archipelago lost the large pool of liquidity that SuperMontage provided when it became a stand-alone exchange, and that loss may offset any gain associated with having exchange status. Overall, exchange status helped Archipelago slowly make headway in the NYSE-listed securities arena. 相似文献
8.
We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by high-frequency traders though it could include other algorithmic activity as well. We propose a new measure of low-latency activity to investigate the impact of high-frequency trading on the market environment. Our measure is highly correlated with NASDAQ-constructed estimates of high-frequency trading, but it can be computed from widely-available message data. We use this measure to study how low-latency activity affects market quality both during normal market conditions and during a period of declining prices and heightened economic uncertainty. Our analysis suggests that increased low-latency activity improves traditional market quality measures—decreasing spreads, increasing displayed depth in the limit order book, and lowering short-term volatility. Our findings suggest that given the current market structure for U.S. equities, increased low-latency activity need not work to the detriment of long-term investors. 相似文献
9.
Kevin D. Broom Robert A. Van Ness Richard S. Warr 《Journal of Economics and Business》2007,59(6):520-535
We examine the microstructure effects of the QQQ ETF listing change from AMEX to NASDAQ. We find that even though the stock traded on both venues before and after the listing change, NASDAQ reaped a substantial increase in order flow for QQQ at the expense of the AMEX. The change results in a decline in trading costs, consolidation of order flow, and a less fragmented market for QQQ. We hypothesize that the avoidance of the explicit and implicit costs imposed by the Intermarket Trading System for NASDAQ traders was partly responsible for the improvement in QQQ market quality. 相似文献
10.
为了促进高新技术的发展,我国将于近期推出二板市场。二板市场主要服务于中小高科技企业,具有与主板市场不同的特征。美国NASDAQ市场和香港创业板市场的成功经验和失败教训,对我国建立二板市场并步入健康发展轨道有着重要的借鉴作用。 相似文献